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Journal of Mathematical Analysis and Applications
Volume 138, Issue 1, 15 February 1989, Pages 280-292
 
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doi:10.1016/0022-247X(89)90335-1    How to Cite or Link Using DOI (Opens New Window)
Copyright © 1989 Published by Elsevier Inc.

Measures of distance between probability distributions*1

J. K. Chung, P. L. Kannappan, C. T. Ng and P. K. Sahoo

Centre for Information Theory, University of Waterloo, Waterloo, Ontario, Canada N2L 3G1

Received 6 July 1987. 
Submitted by David Aldous 
Available online 30 June 2004.

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Abstract

In statistical estimation problems measures between probability distributions play significant roles. Hellinger coefficient, Jeffreys distance, Chernoff coefficient, directed divergence, and its symmetrization J-divergence are examples of such measures. Here these and like measures are characterized through a composition law and the sum form they possess. The functional equations f(pr, qs) + f(ps, qr) = (r + s)f(p, q) + (p + q)f(r, s) and f(pr, qs) + f(ps, qr) = f(p, q)f(r, s) are instrumental in their deduction.

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